Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1455
Annualized Std Dev 0.1941
Annualized Sharpe (Rf=0%) -0.7493

Row

Daily Return Statistics

Close
Observations 2986.0000
NAs 1.0000
Minimum -0.0790
Quartile 1 -0.0076
Median -0.0010
Arithmetic Mean -0.0005
Geometric Mean -0.0006
Quartile 3 0.0066
Maximum 0.0663
SE Mean 0.0002
LCL Mean (0.95) -0.0010
UCL Mean (0.95) -0.0001
Variance 0.0001
Stdev 0.0122
Skewness 0.0514
Kurtosis 2.4985

Downside Risk

Close
Semi Deviation 0.0085
Gain Deviation 0.0083
Loss Deviation 0.0080
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.9036
Historical VaR (95%) -0.0196
Historical ES (95%) -0.0273
Modified VaR (95%) -0.0199
Modified ES (95%) -0.0283
From Trough To Depth Length To Trough Recovery
2009-06-11 2020-08-04 NA -0.9036 2950 2792 NA
2009-05-28 2009-05-29 2009-06-05 -0.0613 7 2 5
2009-05-08 2009-05-13 2009-05-21 -0.0468 9 4 5
2009-04-20 2009-04-20 2009-04-22 -0.0233 3 1 2
2009-04-27 2009-04-27 2009-04-29 -0.0193 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA 1.2 5.7 0.5 -3.3 -0.7 -2.6 -2.1 2 1.5 1.9
2010 1 0 0.9 -1.9 -0.8 -0.1 -2.5 2.7 -0.3 0.4 3.7 -1.9 1.1
2011 1.3 -0.3 -0.5 -0.7 -2.6 0.7 -1.1 -2.4 -1.8 -3.7 -0.1 -0.7 -11.3
2012 0.8 1.1 1.3 0.5 -2.5 1.3 0.6 -1.6 -0.5 0.5 -0.1 1.5 2.8
2013 0.8 -0.7 -0.6 -0.9 0.7 -0.5 2.8 0.5 0.4 1.6 0.3 1.3 5.8
2014 -1 0.2 0.7 -0.9 0.4 0.8 -1.9 -0.1 -2.4 0.8 0.4 -0.5 -3.4
2015 -2.3 -0.2 -1.2 2.4 1.3 1.1 -1.8 -0.2 -0.1 -1.1 -1.4 -0.8 -4.4
2016 0.1 1.9 0 -0.1 -0.9 -0.6 -0.4 -0.2 0.6 -2.7 1.1 -0.7 -1.9
2017 0.9 2.8 -0.8 0.6 0.6 0.5 -0.7 0.8 0.1 -0.3 -1.6 -0.4 2.6
2018 1.5 -1.6 -0.7 0.8 1.9 0.4 0.9 -0.3 0.4 0.3 -1 -1.4 1.2
2019 1.1 1.1 1.9 0.2 -1.9 0.5 -2.9 -0.1 -0.9 0.7 0.3 0.5 0.4
2020 -1.3 -3.6 -0.7 -0.3 0.2 0.5 0.4 -0.8 -0.2 1.1 1.7 -1.8 -5
2021 0.3 0.5 -0.1 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-04-16  61   SPY    86.5  0.0147   0.0481   0.106   0.0252    -0.368   -0.328   -0.237 GLD    85.8 -0.0193  -0.0092
2 2009-04-17  62.5 SPY    87.1  0.0067   0.0148   0.0895  0.0318    -0.365   -0.323   -0.229 GLD    85.2 -0.0069  -0.0126
3 2009-04-20  61   SPY    83.4 -0.0419  -0.028    0.0569 -0.0192    -0.398   -0.362   -0.267 GLD    87.0  0.0203  -0.0106
4 2009-04-21  62.1 SPY    85.1  0.0195   0.0084   0.109   0.0557    -0.386   -0.350   -0.253 GLD    86.9 -0.0007  -0.0055
5 2009-04-22  62.5 SPY    84.5 -0.0061  -0.0083   0.0282  0.00580   -0.387   -0.355   -0.245 GLD    87.4  0.0056  -0.0014
6 2009-04-23  62.2 SPY    85.4  0.0098  -0.0131   0.0592  0.0317    -0.380   -0.349   -0.242 GLD    88.8  0.0163   0.0348
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart